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Efficient markets vs. excess volatility [Financial markets]
(Yale University, Open Yale Courses, 2016)
Efficient markets vs. excess volatility [Financial markets]
(Yale University, Open Yale Courses, 2011)
The efficient IPO market hypothesis: Theory and evidence
(Cambridge University Pressjournals_subscriptions@cup.cam.ac.uk, 2020)
Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers
(International Association for Fuzzy-set Management and Economy, 2016-05)
This paper analyzes the informational efficiency of oil market during the last three decades, and examines changes in informational efficiency with major geopolitical events, such as terrorist attacks, financial crisis and ...
Financial market structures revealed by pricing rules: Efficient complete markets are prevalent
(Academic Press Inc., 2018)
It is well known that when an arbitrage-free financial market is incomplete or has tradable financial assets with frictions there must be multiple risk-neutral probability measures. The main motivation for the present study ...
Os efeitos disponibilidade e momento no mercado acionário brasileiro: um estudo empírico
(2013-02-04)
O objetivo deste trabalho foi testar a presença de dois efeitos no mercado acionário brasileiro: disponibilidade e momento, amplamente estudados para o mercado norte-americano em publicações anteriores. Utilizando uma ...
Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching
(2018-03)
Asset allocation is important for diversifying risk and realizing gains in the financial market. It involves decisions taken under uncertainty based on statistical methods. Returns on financial assets generally present ...
O dano aos investidores em casos de fraude ao mercado de capitais: uma análise da jurisprudência brasileira à luz da teoria dos mercados eficientes
(2017-03-29)
A partir dos casos analisados no âmbito deste trabalho envolvendo pedidos de indenização por danos causados aos investidores decorrentes de fraudes ao mercado de capitais, ligadas a falhas informacionais, podemos inferir ...
Efficient capacity investment and joint production agreements in an oligopolistic electricity market: The HidroAysen joint venture project
(ELSEVIER SCI LTD, 2010)
We develop a model for a power market with the characteristics of the Chilean power supply industry, which is an integrated system with a system operator (SO) with a vast authority to define the dispatch of the system. We ...